A note to enhance the BPW model for the pricing of basket and spread options

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104716

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104716

Title:	A note to enhance the BPW model for the pricing of basket and spread options
Authors:	吳庭斌;Chang, Jui-Jane;Chen, Son-Nan;Wu, Ting-Pin
Contributors:	管理學院財務金融學系
Keywords:	Portfolio performance;Rates of return;Stock prices;Studies
Date:	2012-03-01
Issue Date:	2026-04-23 11:56:18 (UTC+8)
Publisher:	Portfolio Management Research;New York: Institutional Investor
Abstract:	摘要： The standard assumption for an underlying asset's returns process is the lognormal diffusion. This works quite well for individual assets. Portfolios and indexes present a problem, however, because a weighted sum of lognormally distributed stock prices is not lognormal. But a lognormal approximation can typically still be used as long as all of the weights are positive. That condition fails for options on a spread, which generally involves approximately equally sized long and short positions. In the Summer 2007 issue of this journal, Borovkova, Permana, and Weide (BPW) presented a solution based on matching the moments of the returns distribution to a generalized lognormal. Here, Wu, Chang and Chen show how to speed up the BPW procedure considerably by using closed-form expressions for the relevant moments. [PUBLICATION ABSTRACT] 出版者： New York: Institutional Investor 出版日期： 2012-04-01 出處： The Journal of derivatives, 2012-04, Vol.19 (3), p.77-82 資源來源： ABI/INFORM Collection (ProQuest Business/Economics) (LUT) 版權： Copyright Euromoney Institutional Investor PLC Spring 2012 識別號： ISSN: 1074-1240 識別號： EISSN: 2168-8524 識別號： DOI: 10.3905/jod.2012.19.3.077
Appears in Collections:	[Department of Finance] journal & Dissertation

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